Lm11 reconstruction of K-line and construction of timing trading strategy

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Hello everyone , What we brought today LM The first 10 Periodic strategy iteration . This article is different from the previous strategy algorithm and data perspective , What we are doing today is going to K Line data for reconstruction , By reconstructing the noise reduction market data to make timing judgment . As shown in the figure below ：

Above, IC personal witness 500 Of stock index futures 10 Minute market chart .

One 、 Strategy logic and iteration content

The strategy is refactored K Line from Heikin Ashi Candlestick Charts ,Heikin Ashi It's the Japanese based on the original candle map , A price graph obtained by averaging prices .     

Candle chart is also called K Line graph , It is an important part of technical analysis , It was first used by Japanese businessmen in the Tokugawa Shogunate era to record the rice market and price fluctuations , Later, it was introduced into the chart analysis of stock market and futures . Ordinary K The line diagram should be familiar to everyone , and Heikin Ashi Candlestick Charts （ abbreviation HA Candlestick Charts ） It should be relatively rare .Heikin In Japanese, it means average , and Ashi It's rhythm , Together, it means the average rhythm of stock price movement .HA The candle chart is calculated according to historical prices , It is equivalent to noise reduction of the original price , Make it better reflect the movement trend of price .

Ordinary K There is often a lot of noise in the line graph , These noises destroy the real trend , such as , Short term market correction or sentiment adjustment , And over interpretation of news and market , May cause meaningless short-term price and trading volume fluctuations , Such noise will disturb and mislead traders in analyzing the market . In order to reduce common K Noise generated by line diagram ,HA Candle chart came into being ,HA Of the four prices in ,HA Opening price and HA The closing price is calculated by averaging , The averaging process is equivalent to the noise elimination process , To a certain extent, the noise of the market is eliminated , It can more clearly reflect the trend of market prices . The calculation method is shown in the figure below ∶

In the original , We iterate again through online public examples and algorithms , Minor correction , As shown in the figure below ：

The purpose is to further reduce the occurrence of burrs , Although through visual comparison , There is no significant sensory difference between the two , But the details are for different varieties and different cycles , It still has a certain denoising effect .

In refactoring K After the line is finished , We can see through observation that ,K The structure of the line has changed a lot , But the overall trend has not changed . Here we are. , Some people will ask , Is this kind of play reasonable in itself ？ This question is left to readers to taste . It's like everyone has a hamlet in their heart .

Through the first step above , We use SF21 Count Yin and Yang K And the way up and down （ because K The line is getting rid of the noise ） To build “ new SF21” Strategy . As shown in the figure below ：

In terms of appearance , We use super trendline “ Jack of all trades ” Exit template .

Two 、 visualization

J long

IC long

Eb long

J short

LH short

IC short

3、 ... and 、 The performance of

  The first generation version of this strategy does not test multiple varieties , Only from 5 Large plate extraction 1-2 Basic test of varieties , As shown in the figure below ：

2017—2022.5.27

2022.03.01—2022.5.27

Kaiping is adopted for the goods 2 Jump slip point , Stock index futures adopt Kaiping 4 jump , The handling charge is stipulated by the exchange + Back test according to the standard of .

The performance of other varieties should be tested and observed by yourself in the work area , I won't go into details here .

summary ：

1、 The heterogeneity of strategy in this period is not related to the algorithm and logic of entry and exit , It's refactoring K Entry point of line .

2、 I only tested black 、 chemical 、 Agricultural products 、 Stock index futures 4 Different plates 1-2 varieties , The initial test was Coke , Because Coke is the bottom line , If this is not good , The others don't need to be tested , It must be bad .（ I mean normal CTA Strategy ）.

3、 The strategy bears have two appearances , The purpose is to differentiate with the market structure of bulls . In fact, bulls can also be made 2 A logic of appearance , Found in other strategy tests , Not good , So there is no addition , But that doesn't mean you can't add .

4、 The strategy is refactored K There is still room for improvement in the process of wiring , The second is refactoring K Line , We can also continue to sort out other entry and exit logic . It's not limited SF21 The idea of .

Due to the differences of various platforms , Back test performance to TBQ The version shall prevail ！！！

This strategy is only used for learning and communication , The investor is personally responsible for the profit and loss of the firm offer .